risk forecasts of the Bank of England and the Sveriges Riksbank, however, we do not find conclusive evidence for … informativeness, that is, for a systematic connection between risk assessments and forecast errors. Thus, it seems questionable … whether macroeconomic risk forecasts are meaningful. -- Forecast evaluation ; risk forecasts ; inflation forecasts …

We show that option-implied jump tail risk estimated prior to earnings announcements strongly predicts post …-earnings risk-adjusted abnormal stock returns. The predictive power of implied jump tail risk is particularly strong on extreme … for model-free implied moments of variance, skewness and kurtosis. We argue that the tail risk implied from options …